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Stock return dynamics and the CAPM anomalies

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  • Reidar Hagtvedt

Abstract

In this study the chaotic properties of stocks were calculated at the firm level rather than focusing on the properties of indices. The dominant Lyapunov exponent and the Correlation Dimension were estimated for weekly returns to individual stocks, and the relationships between these and the firm characteristics size (market value) and book-to-market-equity (BME) ratio were examined. Size was found to have an effect on the dynamic characteristics of the stocks, but BME had no statistically significant impact.

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  • Reidar Hagtvedt, 2009. "Stock return dynamics and the CAPM anomalies," Applied Economics Letters, Taylor & Francis Journals, vol. 16(16), pages 1593-1596.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:16:p:1593-1596
    DOI: 10.1080/13504850701582159
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    1. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
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    1. repec:ehu:cuader:55438 is not listed on IDEAS
    2. Ata Ozkaya & Omer Altun, 2024. "Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey," SAGE Open, , vol. 14(2), pages 21582440241, April.

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